Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66506 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 77
Publisher: 
Osnabrück University, Institute of Empirical Economic Research, Osnabrück
Abstract: 
In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence tests with nominal and real interest rates using quarterly data from 1975 to 2007. Overall we only find little evidence of comovements. Common trends are occasionally observed, but the majority of interest rates are not cointegrated. Although some evidence for codependence of higher order is found among European countries, common cycles appear to exist only in rare cases and cannot be generalized for all interest rates.
Subjects: 
interest rates
comovement
cointegration
serial correlation common feature
code-pendence
JEL: 
C22
E43
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
307.16 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.